Pseudo-Mathematics and Financial Charlatanism: The Effects of Backtest Overfitting on Out-of-Sample Performance by David H. Bailey, Jonathan M. Borwein, Marcos Lopez de Prado, Qiji Jim Zhu :: SSRN
papers.ssrn.com/sol3/papers.cfm?abstract_id=2308659
We prove that high simulated performance is easily achievable after backtesting a relatively small number of alternative strategy configurations, a practice we
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